Contagion in financial networks: a network theory and agent-based approaches to modeling the spread of risk in financial systems

Esta dissertação estuda a propagação de crises sobre o sistema financeiro. Mais especi- ficamente, busca-se desenvolver modelos que permitam simular como um determinado choque econômico atinge determinados agentes do sistema financeiro e apartir dele se propagam, transformando-se em um problema sistêmico. A dissertação é dividida em dois capítulos,além da introdução. O primeiro capítulo desenvolve um modelo de propa- gação de crises em fundos de investimento baseado em ciência das redes.Combinando dois modelos de propagação em redes financeiras, um simulando a propagação de perdas em redes bipartites de ativos e agentes financeiros e o outro simulando a propagação de perdas em uma rede de investimentos diretos em quotas de outros agentes, desenvolve-se um algoritmo para simular a propagação de perdas através de ambos os mecanismos e utiliza-se este algoritmo para simular uma crise no mercado brasileiro de fundos de investimento. No capítulo 2,desenvolve-se um modelo de simulação baseado em agentes, com agentes financeiros, para simular propagação de um choque que afeta o mercado de operações compromissadas.Criamos também um mercado artificial composto por bancos, hedge funds e fundos de curto prazo e simulamos a propagação de um choque de liquidez sobre um ativo de risco securitizando utilizado para colateralizar operações compromissadas dos bancos.

Development of a new analytical approach based on cellulose membrane and chelator for differentiation of labile and inert metal species in aquatic systems

A new procedure was developed in this study, based on a system equipped with a cellulose membrane and a tetraethylenepentamine hexaacetate chelator (MD-TEPHA) for in situ characterization of the lability of metal species in aquatic systems. To this end, the DM-TEPHA system was prepared by adding TEPHA chelator to cellulose bags pre-purified with 1.0 mol L-1 of HCl and NaOH solutions. After the MD-TEPHA system was sealed, it was examined in the laboratory to evaluate the influence of complexation time (0-24 h), pH (3.0, 4.0, 5.0, 6.0 and 7.0), metal ions (Cu, Cd, Fe, Mn and Ni) and concentration of organic matter (15, 30 and 60 mg L-1) on the relative lability of metal species by TEPHA chelator. The results showed that Fe and Cu metals were complexed more slowly by TEPHA chelator in the MD-TEPHA system than were Cd, Ni and Mn in all pH used. It was also found that the pH strongly influences the process of metal complexation by the MD-TEPHA system. At all the pH levels, Cd, Mn and Ni showed greater complexation with TEPHA chelator (recovery of about 95-75%) than did Cu and Fe metals. Time also affects the lability of metal species complexed by aquatic humic substances (AHS); while Cd, Ni and Mn showed a faster kinetics, reaching equilibrium after about 100 min, and Cu and Fe approached equilibrium after 400 min. Increasing the AHS concentration decreases the lability of metal species by shifting the equilibrium to AHS-metal complexes. Our results indicate that the system under study offers an interesting alternative that can be applied to in situ experiments for differentiation of labile and inert metal species in aquatic systems. (c) 2006 Elsevier B.V. All rights reserved.

Stability and convergence analysis of a neural model applied in nonlinear systems optimization

A neural model for solving nonlinear optimization problems is presented in this paper. More specifically, a modified Hopfield network is developed and its internal parameters are computed using the valid-subspace technique. These parameters guarantee the convergence of the network to the equilibrium points that represent an optimal feasible solution. The network is shown to be completely stable and globally convergent to the solutions of nonlinear optimization problems. A study of the modified Hopfield model is also developed to analyze its stability and convergence. Simulation results are presented to validate the developed methodology.

An efficient neural approach to economic load dispatch in power systems

A neural approach to solve the problem defined by the economic load dispatch in power systems is presented in this paper, Systems based on artificial neural networks have high computational rates due to the use of a massive number of simple processing elements and the high degree of connectivity between these elements the ability of neural networks to realize some complex nonlinear function makes them attractive for system optimization the neural networks applyed in economic load dispatch reported in literature sometimes fail to converge towards feasible equilibrium points the internal parameters of the modified Hopfield network developed here are computed using the valid-subspace technique These parameters guarantee the network convergence to feasible quilibrium points, A solution for the economic load dispatch problem corresponds to an equilibrium point of the network. Simulation results and comparative analysis in relation to other neural approaches are presented to illustrate efficiency of the proposed approach.

Implementation of two-stage Hopfield model and its application in nonlinear systems

This paper presents an efficient neural network for solving constrained nonlinear optimization problems. More specifically, a two-stage neural network architecture is developed and its internal parameters are computed using the valid-subspace technique. The main advantage of the developed network is that it treats optimization and constraint terms in different stages with no interference with each other. Moreover, the proposed approach does not require specification of penalty or weighting parameters for its initialization.

Physical research in dynamized systems

The concept of dynamized medicines is commonly used in homeopathy. As a medical practice, homeopathy is based on clinical observations and experimental assays. In spite of the lack of a credible scientific explanation for its action mechanisms, clinical evidence has been collected since 200 years ago. This paper discusses the most important physical models related to dynamized systems, as well as some perspectives and consequences in studying such systems. While early theories dealt with structural changes in single solvent molecules, modern theories consider collective effects and self-organizing properties. The concept of information was recently introduced to model the capability of a dynamized system to interact with a biological organism, without a molecular agent being needed. The features and limitations of theoretical approaches, as well as experimental results are discussed. (C) 2002 Published by Elsevier B.V. Ltd.

Investigation of Plasma Immersion Ion Implantation Process in Magnetic Mirror Geometry

Plasma immersion ion implantation (PIII) with low external magnetic field has been investigated both numerically and experimentally. The static magnetic field considered is essentially nonuniform and is generated by two magnetic coils installed outside the vacuum chamber. Experiments have been conducted to investigate the effect of two of the most important PIII parameters: target voltage and gas pressure. In that context, it was found that the current density increased when the external parameters were varied. Later, the PIII process was analyzed numerically using the 2.5-D computer code KARAT. The numerical results show that the system of crossed E x B fields enhances the PIII process. The simulation showed an increase of the plasma density around the target under the operating and design conditions considered. Consequently, an increase of the ion current density on the target was observed. All these results are explained through the mechanism of gas ionization by collisions with electrons drifting in crossed E x B fields.

An effortless hybrid method to solve economic load dispatch problem in power systems

This paper proposes a new approach and coding scheme for solving economic dispatch problems (ED) in power systems through an effortless hybrid method (EHM). This novel coding scheme can effectively prevent futile searching and also prevents obtaining infeasible solutions through the application of stochastic search methods, consequently dramatically improves search efficiency and solution quality. The dominant constraint of an economic dispatch problem is power balance. The operational constraints, such as generation limitations, ramp rate limits, prohibited operating zones (POZ), network loss are considered for practical operation. Firstly, in the EHM procedure, the output of generator is obtained with a lambda iteration method and without considering POZ and later in a genetic based algorithm this constraint is satisfied. To demonstrate its efficiency, feasibility and fastness, the EHM algorithm was applied to solve constrained ED problems of power systems with 6 and 15 units. The simulation results obtained from the EHM were compared to those achieved from previous literature in terms of solution quality and computational efficiency. Results reveal that the superiority of this method in both aspects of financial and CPU time. (C) 2011 Elsevier Ltd. All rights reserved.

Efficient heuristic algorithm used for optimal capacitor placement in distribution systems

An efficient heuristic algorithm is presented in this work in order to solve the optimal capacitor placement problem in radial distribution systems. The proposal uses the solution from the mathematical model after relaxing the integrality of the discrete variables as a strategy to identify the most attractive bus to add capacitors to each step of the heuristic algorithm. The relaxed mathematical model is a nonlinear programming problem and is solved using a specialized interior point method, The algorithm still incorporates an additional strategy of local search that enables the finding of a group of quality solutions after small alterations in the optimization strategy. Proposed solution methodology has been implemented and tested in known electric systems getting a satisfactory outcome compared with metaheuristic methods.The tests carried out in electric systems known in specialized literature reveal the satisfactory outcome of the proposed algorithm compared with metaheuristic methods. (C) 2009 Elsevier Ltd. All rights reserved.

Strategic capacitor placement in distribution systems by minimisation of harmonics amplification because of resonance

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

New analytical procedure based on a cellulose bag and ionic exchanger with p-aminobenzoic acid groups for differentiation of labile and inert metal species in aquatic systems

A new procedure was developed for the in situ characterization of the lability of metal species in aquatic systems by using a system equipped with a diffusion membrane and cellulose organomodified with p-aminobenzoic acid groups (DM-Cell-PAB). To this end, the DM-Cell-PAB system was prepared by adding cellulose organomodified with p-aminobenzoic acid groups (Cell-PAB) to pre-purified cellulose bags. After the DM-Cell-PAB system was sealed, it was examined in the laboratory to evaluate the influence of complexation time, mass of exchanger, pH, metal ions (Cu, Cd, Fe, Mn, and Ni), and concentration of organic matter on the relative lability of metal species. It was found that the pH and kinetics strongly influence the process of metal complexation by the DM-Cell-PAB system. At all pH levels, Cd, Mn, and Ni showed lower complexation with Cell-PAB resin than Cu and Fe metals. Note that relative lability of metals complexed to aquatic humic substances (AHS) in the presence of Cell-PAB resin showed the following order: Cu congruent to Fe >> Ni > Mn=Cd. The results presented here also indicate that increasing the AHS concentration decreases the lability of metal species by shifting the equilibrium to AHS-metal complexes. Our results indicate that the system under study offers an interesting alternative that can be applied to in situ experiments for differentiation of labile and inert metal species in aquatic systems.

Design of a reconfigurable pseudorandom number generator for use in intelligent systems

This paper deals with the design of a network-on-chip reconfigurable pseudorandom number generation unit that can map and execute meta-heuristic algorithms in hardware. The unit can be configured to implement one of the following five linear generator algorithms: a multiplicative congruential, a mixed congruential, a standard multiple recursive, a mixed multiple recursive, and a multiply-with-carry. The generation unit can be used both as a pseudorandom and a message passing-based server, which is able to produce pseudorandom numbers on demand, sending them to the network-on-chip blocks that originate the service request. The generator architecture has been mapped to a field programmable gate array, and showed that millions of numbers in 32-, 64-, 96-, or 128-bit formats can be produced in tens of milliseconds. (C) 2011 Elsevier B.V. All rights reserved.

Critical temperature for first-order phase transitions in confined systems

We consider the Euclidean D-dimensional -lambda vertical bar phi vertical bar(4)+eta vertical bar rho vertical bar(6) (lambda,eta > 0) model with d (d <= D) compactified dimensions. Introducing temperature by means of the Ginzburg-Landau prescription in the mass term of the Hamiltonian, this model can be interpreted as describing a first-order phase transition for a system in a region of the D-dimensional space, limited by d pairs of parallel planes, orthogonal to the coordinates axis x(1), x(2),..., x(d). The planes in each pair are separated by distances L-1, L-2, ... , L-d. We obtain an expression for the transition temperature as a function of the size of the system, T-c({L-i}), i = 1, 2, ..., d. For D = 3 we particularize this formula, taking L-1 = L-2 = ... = L-d = L for the physically interesting cases d = 1 (a film), d = 2 (an infinitely long wire having a square cross-section), and for d = 3 (a cube). For completeness, the corresponding formulas for second-order transitions are also presented. Comparison with experimental data for superconducting films and wires shows qualitative agreement with our theoretical expressions.

Increase of temperature of an ideal nondegenerate quantum gas in a suddenly expanding box due to energy quantization

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)